Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0007 |
| Annualized Std Dev | 0.1609 |
| Annualized Sharpe (Rf=0%) | -0.0045 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4628.0000 |
| NAs | 1.0000 |
| Minimum | -0.1409 |
| Quartile 1 | -0.0036 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0038 |
| Maximum | 0.1723 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0101 |
| Skewness | -0.2792 |
| Kurtosis | 53.3451 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0074 |
| Gain Deviation | 0.0080 |
| Loss Deviation | 0.0090 |
| Downside Deviation (MAR=210%) | 0.0122 |
| Downside Deviation (Rf=0%) | 0.0073 |
| Downside Deviation (0%) | 0.0073 |
| Maximum Drawdown | 0.4965 |
| Historical VaR (95%) | -0.0124 |
| Historical ES (95%) | -0.0233 |
| Modified VaR (95%) | -0.0065 |
| Modified ES (95%) | -0.0065 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-09-12 | 2008-10-10 | 2012-03-07 | -0.4965 | 1634 | 777 | 857 |
| 2013-01-14 | 2020-03-18 | NA | -0.3662 | 2061 | 1807 | NA |
| 2002-11-04 | 2004-05-13 | 2005-06-02 | -0.1794 | 649 | 384 | 265 |
| 2012-03-12 | 2012-03-16 | 2012-06-25 | -0.0824 | 74 | 5 | 69 |
| 2012-11-28 | 2012-12-18 | 2013-01-10 | -0.0822 | 30 | 15 | 15 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.3 | 0 | 1.7 | 2 |
| 2003 | -0.9 | 0.3 | 0.6 | -0.7 | 0.1 | 0.1 | 0 | 0.5 | 1.1 | -0.3 | -0.4 | 1.2 | 1.7 |
| 2004 | 0.7 | 0.1 | -0.1 | 0.8 | -0.4 | 0.8 | 0.9 | 0.2 | -0.1 | -1 | 0.2 | 0.6 | 2.6 |
| 2005 | 0.1 | 0.3 | 2.1 | 0.3 | 1 | -0.9 | -0.5 | 0.7 | 0 | 0.1 | 0 | 2.4 | 5.8 |
| 2006 | -0.1 | 0.3 | 0.1 | -0.1 | 0.9 | 0.4 | 0.1 | -0.1 | -0.2 | 0.4 | -0.7 | 0.1 | 1.2 |
| 2007 | -0.3 | -0.2 | -0.5 | -0.1 | 0.3 | 0.8 | -0.3 | 1 | 0.7 | -0.9 | -0.3 | 0.9 | 1.2 |
| 2008 | 0 | -3.1 | 1 | 0.6 | 0.2 | 0.6 | 0.5 | -0.8 | 3.3 | -0.8 | -1 | -2.8 | -2.5 |
| 2009 | 0.1 | 0.9 | 1.7 | -1.2 | 0 | -1.6 | 1.8 | 1.6 | 0.9 | -0.7 | 0.7 | 1.3 | 5.6 |
| 2010 | 0.2 | 0.6 | -1 | -0.4 | -0.1 | -0.1 | 0.8 | 0.6 | 0.6 | 0.2 | -2.4 | 2.4 | 1.5 |
| 2011 | 2.1 | 1.1 | 0.4 | 0.4 | 0.1 | 0.4 | 1 | 1.4 | 0.1 | 0.3 | -0.1 | 0.5 | 7.9 |
| 2012 | 0 | -0.3 | 0.3 | 0.8 | -0.1 | 0.9 | -0.1 | -0.4 | -0.4 | 0.7 | 0.1 | 0.2 | 1.8 |
| 2013 | 0.1 | 0.1 | -0.8 | 0.3 | -1 | 1.3 | -1.2 | 0.2 | 0.3 | -1.5 | 0.1 | -0.3 | -2.6 |
| 2014 | 0.2 | 0.1 | -0.3 | 0.5 | 0.1 | -0.6 | 0.1 | 0.1 | 0.2 | 0 | 0.1 | 0.3 | 1 |
| 2015 | 1.1 | 0.9 | 0.2 | -0.4 | 0.1 | 0.1 | 0.9 | 0.1 | 0.3 | 0 | 0.8 | 1.8 | 5.9 |
| 2016 | 0 | 0.7 | -0.3 | 0.8 | 1 | -0.7 | -0.2 | -0.3 | 0.5 | 0.3 | -0.7 | 0.7 | 1.8 |
| 2017 | -0.1 | -0.1 | 0.4 | -0.3 | 0.3 | 0.5 | 0.8 | 1.8 | -0.1 | -0.1 | 0.2 | 0.1 | 3.2 |
| 2018 | -0.3 | 0.2 | 0.7 | 0.4 | -0.2 | 0 | 0 | -0.4 | 0 | 0.3 | 0.1 | 0.1 | 1 |
| 2019 | -0.5 | 0.2 | -0.3 | 0.2 | 0.4 | 0.1 | 0.6 | 0.3 | 0.1 | 0.1 | 0.1 | -0.4 | 1 |
| 2020 | -0.2 | -1.4 | -2.9 | -0.1 | 0.9 | 1.1 | 0.7 | 0.8 | 0.4 | 0.3 | 0.3 | 0.9 | 0.6 |
| 2021 | 0.1 | -0.1 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
